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Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance »

Source: Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Volume/Issue: 2012/194

Series: IMF Working Papers

Author(s): Tiago Severo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

ISBN: 9781475505436

Keywords: stock returns, banking, bank assets, insurance premium, bond, Econometric Modeling, General Financial Markets,

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks we...

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance »

Volume/Issue: 2012/194

Series: IMF Working Papers

Author(s): Tiago Severo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

DOI: http://dx.doi.org/10.5089/9781475505436.001

ISBN: 9781475505436

Keywords: stock returns, banking, bank assets, insurance premium, bond, Econometric Modeling, General Financial Markets,

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks we...